Discretely sampled variance and volatility swaps versus their continuous approximations (Q1945043): Difference between revisions

@@ Property / author @@
-Robert A. Jarrow
@@ Property / author: Robert A. Jarrow / rank @@
-Normal rank
@@ Property / author @@
-Philip E. Protter
@@ Property / author: Philip E. Protter / rank @@
-Normal rank
@@ Property / author @@
+Robert A. Jarrow
@@ Property / author: Robert A. Jarrow / rank @@
+Normal rank
@@ Property / author @@
+Philip E. Protter
@@ Property / author: Philip E. Protter / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2167762037
@@ Property / OpenAlex ID: W2167762037 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.1374
@@ Property / arXiv ID: 1103.1374 / rank @@
+Normal rank
@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+THE EFFECT OF JUMPS AND DISCRETE SAMPLING ON VOLATILITY AND VARIANCE SWAPS
+Normal rank
@@ Property / cites work @@
+Variance swaps on time-changed Lévy processes
@@ Property / cites work: Variance swaps on time-changed Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+A new approach for option pricing under stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of long dated variance swaps under a \(3/2\) volatility model
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+An affine property of the reciprocal Asian option process
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4328337
@@ Property / cites work: Q4328337 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1945043